R packages

1) qrmtools: This is a new package addressing modern aspects and developments around Quantitative Risk Management. It provides an implementation of the (classic) RA and the Adaptive Rearrangement Algorithm (ARA). The latter chooses the number of discretization points adaptively on its own, provides more meaningful relative (instead of absolute) error bounds and has a more intelligent way to stop iterating over the columns of the underlying matrix. Both RA and ARA provide many useful computed results along the way and the underlying rearrangement function (efficiently implemented) is exported as well. Furthermore, a vignette shows the improvements, what to watch out for (e.g., numerical issues), a real application and more.

2) QRM: The function VaRbound() provides a readable, purely R based implementation of a basic version of the RA (the iteration is done until all columns are (truely) oppositely ordered to the sum of all others). See ?VaRbound for more details.